Related papers: Risk-Averse Equilibrium Analysis and Computation
According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…
In this paper, we propose a bilateral peer-to-peer (P2P) energy trading scheme for residential prosumers with a simplified entry to the market. We formulate the market as an assignment game, a special class of coalitional games. For solving…
In this paper, we deal with risk evaluation and risk-averse optimization of complex distributed systems with general risk functionals. We postulate a novel set of axioms for the functionals evaluating the total risk of the system. We derive…
We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…
This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…
Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…
We develop efficient algorithms to construct utility maximizing mechanisms in the presence of risk averse players (buyers and sellers) in Bayesian settings. We model risk aversion by a concave utility function, and players play…
We study a two-sided online data ecosystem comprised of an online platform, users on the platform, and downstream learners or data buyers. The learners can buy user data on the platform (to run a statistic or machine learning task).…
In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
With the rapid development of distributed energy resources, increasing number of residential and commercial users have been switched from pure electricity consumers to prosumers that can both consume and produce energy. To properly manage…
We study the competition for partners in two-sided matching markets with heterogeneous agent preferences, with a focus on how the equilibrium outcomes depend on the connectivity in the market. We model random partially connected markets,…
In the digital age, resources such as open-source software and publicly accessible databases form a crucial category of digital public goods, providing extensive benefits for Internet. This paper investigates networked public goods games…
We present an historical overview about the connections between the analysis of risk and the control of autonomous systems. We offer two main contributions. Our first contribution is to propose three overlapping paradigms to classify the…